OK, then your Exchange Server most likely has a web interface, generally found at one of two addresses, mail.myexchangeserver.com/owa or mail.myexchangeserver.com/exchange, login there and see if the emails are in the exchange server sent box or whether Outlook has just squirreled them away locally (you checked Mails settings, what about Outlook?)

I have this problem with our exchange 2007 accounts. Since I installed Lion I noticed the sent folder didn't contain any of the exchange accounts, I carried on for a few days but the sent folders never appeared. So I deleted each of the four exchange accounts I use in my company and set them up again. Hurrah! the sent items appeared but after a few days they disappeared again. Here is my screen shot of the settings used, which by the way i havent changed.

Just to end I'd say that I like Mail in Lion but this bug? is making it unusable so I've moved to Outlook while it gets fixed.

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